Apparigliato, Romain (2008) Application of recourse optimization for risk management of electricity production with weekly and monthky horizon. PhD thesis CMAP, CMAP, EP/X p.291.
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Alternative Locations: http://www.imprimerie.polytechnique.fr/Theses/Files/Apparigliato.pdf
Abstract
In this Phd, we focus on the problem of weekly risk management in electric production. In the first part of this work, we investigate how to take into account stochastic inflows in the optimal management of a hydraulic valley. Our model is based on robust optimization and linear decision rules. A validation procedure based on simulation over random scenarios shows that we are able to postpone constraints violations of volume at very low cost. The second part deals with the problem of active management of electrical power margin, defined as the difference between the total offer and the total demand, considering the different random parameters which affect the electrical system. The objective is to determine optimal solutions to be taken in order to satisfy the demand in 99% of the cases. In that purpose, we propose a new open-looped formulation, based on the stochastic process of power margin and on the use of probabilistic constraints. To be able to solve this problem, we generate power margin’s scenarios using more realistic methods than those used in exploitation. At last, a closed-loop approach, based on the heuristic “Stochastic Programming with Step Decision Rules”, introduced by Thénié and Vial, is studied. First results are quite promising in comparison with the opened-loop ones.
| Item Type: | PhD Thesis (PhD) |
|---|---|
| PhD Supervisor: | Bonnans, Joseph Frédéric |
| Date: | 25 June 2008 |
| Board of examiners: | Patrick, Combettes and Philippe, Mahey and Yves, Smeers and Nizar, Touzi and Riadh, Zorgati |
| Ecole Doctorale: | ED 447 ECOLE DOCTORALE DE L'ECOLE POLYTECHNIQUE |
| Discipline: | CMAP |
| Collection (Fonds): | Ecole Polytechnique (EP/X) |
| Institution: | EP/X |
| Department: | CMAP |
| Subjects: | 1. Mathematics and Applications |
| Uncontrolled Keywords: | Risk management, Power generation, Electrical power margin, Stochastic optimization, Robust optimization, Decision rules, Numerical simulation, Gestion du risque physique, Production électrique, Marge de production, Optimisation stochastique, Optimisation robuste, Règles de décision, Simulation numérique |
| ID Code: | 4166 |
| Deposited By: | Laurence Vidament |
| Deposited On: | 28 January 2009 |
Table of content
Partie 1 : Introduction
Chapitre 1 : Introduction
Chapitre 2 : L'optimisation dans l'incertain
Partie 2: Etude et application de l'optimisation robuste
Chapitre 3: Introduction à l'optimisation robuste linéaire
Chapitre 4: L'optimisation robuste appliquée à la gestion court-terme d'une vallée hydraulique
Partie 3: Gestion de la couverture contre le risque de défaillance physique
Chapitre 5 : La gestion du risque physique
Chapitre 6 : Boucle fermée: la programmation stochastique avec règles de décision constantes par morceaux
Chapitre 7 : Les processus stochastiques du problème de couverture
Partie 4: Conclusions et perspectives
Chapitre 8 : Conclusions
Chapitre 9: Quelques perspectives pour l'après-thèse
Partie 5: Annexes
Chapitre A: Application de l'optimisation robuste à la gestion hydraulique hebdomadaire: études complémentaires
Chapitre B: Comparatif entre les distributions de marge empiriques et une approximation par loi normale
Chapitre C: Calcul de marge physique de production: calculs complémentaires
Chapitre D: Estimation de la densité par la méthode des noyaux
Chapitre E: Estimation de la marge à partir de scénarios
Chapitre 5:
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